Support Board
Date/Time: Thu, 17 Jul 2025 10:28:28 +0000
How to Extract Historical Market Profile Levels (VAH/VAL/VPOC) for Backtesting
View Count: 42
| [2025-07-14 17:01:31] |
| daniel kagan - Posts: 4 |
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Hello Support Team, I’m trying to backtest a strategy I developed based on Market Profile levels (VAH, VAL, VPOC), and I would appreciate some guidance. I trade the NQ futures contract, and one of my charts uses the TPO Profile Chart (Market Profile). What I need is to extract the historical values of VAH / VAL / VPOC, as they appeared intraday (updated throughout the session), not just the final daily values. Since these levels change dynamically during the session, I’m looking for a way to export this data or access it programmatically — either through the TPO Study, Volume Value Area study, or another recommended method. Does Sierra Chart offer a built-in way to do this, or would I need to use ACSIL or custom solutions? Any pointers would be greatly appreciated. Thank you! Date Time Of Last Edit: 2025-07-14 17:04:50
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| [2025-07-14 17:07:05] |
| John - SC Support - Posts: 40942 |
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To get what you want, you would need to use the "TPO Value Area Lines" study on a standard chart (not on the TPO chart itself, this will not work). You can then set this study to show "Developing Value Area Lines" which will give you the history. You can then export the data using the "Export Bar and Study Data to Text File". Refer to the following: TPO Value Area Lines Edit Menu: Edit >> Export Bar and Study Data to Text File For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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